I earlier used an Airtel sim card on my iPhone 3GS. Now I have to switch to a new number on an existing Vodafone Sim Card. But whenever i insert the new sim, no network comes up. When i connected the iPhone to my iTunes, the message came up "The SIM card inserted in this iPhone does not appear to be supported.This iPhone is not currently setup to work with carrier you're attempting to use. Please insert another SIM card from a supported carrier or request that this iPhone be unlocked."

What should I do? Can I solve this problem from home?

PS: The iPhone, sim and my current location is India